Shin Megami Tensei, especially 1 and 3 (I have not played V. II is great too, but the tone is different) & the first three/four (2 has two parts) Persona games (yes, really - 1 & 2 don't have the social sim aspects and 3's story is dark, even if a bit of a slow burn).

The first Bioshock game.

Deus Ex (The first one. Human Revolution is also pretty good)

Half-Life 1 (or Black Mesa, the remake)

Bonus:

Vampire the Masquerade: Bloodlines. It's both dark in tone and really cheesy at the same time, good stuff.

Celeste

Bad vibes

It is a game about depression

Good story

check

similar feel to:

Hotline Miami

It's got pixel art, an incredibly catchy electronic soundtrack, and a very quick trial and error gameplay loop with a high emphasis on quick reflexes.

I really liked Control

Play OFF

Maybe not quite what you're looking for but Return of the Obra Dinn is cool. Definitely some bad vibes and a good mystery story

well, if you want fucked vibes and good story, i have to recommend STASIS: bone totem, or its predecessor, STASIS for somehow even more fucked vibes (you don't have to play the first one to enjoy the second one), both are pretty great value for their content, if you want to pick em up legally

You should play STALKER Call of Pripyat AKA the greatest game of all time. You can even play it for free because the standalone mod Anomaly doesn't require owning the 3 base games which it contains. Also check out Gothic I and Gothic II AKA the best RPG games ever made

Expeditions Rome is an alt history strategy rpg where Caesar dies in his first military assignment and you take his place.

Bad vibes because proto-fascism of the Roman Empire.

The story is well done and the gameplay rocks.

You could like the Fear and Hunger series, the second obe is a bit easier from what I have heard.